Stylized facts and trends of high frequency data in financial markets

High frequency data has given a paradigm shift to financial markets. High Frequency data is intra-daily data on financial variables taken at a finer time scale (also termed as "tick size") and are often irregularly spaced over time. This data has an ability to define financial market micro-structure and make rational real-time decisions. There are diverse form of low frequency data like monthly, daily or yearly data but high frequency data, which means intra-day, intra-hour, intra-minutes or intra-seconds data have their own characteristics and special statistical properties, therefore also called as ultra high frequency data. Existing trends in high frequency literature revealed that there is huge prospective of this data for market researchers, traders, market practitioner, market regulators and investors in field of financial re-engineering, risk management systems, volatility modelling and forecasting.